Kong, Efang, Linton, Oliver and Xia, Yingcun (2010) Uniform bahadur representation for local polynomial estimates of M-regression and its application to the additive model. Econometric Theory, 26 (05). pp. 1529-1564. ISSN 0266-4666
Full text not available from this repository.Abstract
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y-i, (X) under bar (i))}. We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These results are fundamental for statistical inference and for applications that involve plugging such estimators into other functionals where some control over higher order terms is required. We apply our results to the estimation of an additive M-regression model.
| Item Type: | Article |
|---|---|
| Official URL: | http://journals.cambridge.org/action/displayJourna... |
| Additional Information: | © 2010 Cambridge University Press |
| Divisions: | Economics Centre for Economic Performance STICERD |
| Subjects: | Q Science > QA Mathematics |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation |
| Date Deposited: | 04 Nov 2010 14:36 |
| Last Modified: | 03 Apr 2024 17:30 |
| URI: | http://eprints.lse.ac.uk/id/eprint/29851 |
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